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Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach.
Pingping Zeng
Yue Kuen Kwok
Published in:
SIAM J. Sci. Comput. (2014)
Keyphrases
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option pricing
hilbert transform
black scholes model
hilbert huang transform
pattern recognition
small number
stereo matching